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Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...
Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
Limit Solutions Finite Horizon Problems Optimal Solution Infinite Horizon Optimization Problems
2010/12/17
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We ...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...
We thank Binkai Chen, Zhaoyang Xu, as well as all members of CCER Development Worshop for their helpful comments. Much of Zhang’s work for this paper was completed at CID Harvard University and NBER. ...
Implementation of Socially Optimal Outcomes in the Process of Dissolving Public Enterprises in China
2008/1/17
Abstract In this paper, we study an optimal cost sharing scheme between the central and local governments in current China’s process of dissolving public firms through mergers and bankruptcies. We fir...
An optimal life insurance policy in the investment-consumption problem in an incomplete market
life insurance policy the investment-consumption problem incomplete market
2010/12/13
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of ear...
An Optimal Rate of the National Burden in an Aging Japan
aging population national burden rate government expenditure
2010/12/7
This paper examines an optimal rate of the national burden to establish guidelines for fiscal reform in Japan’s graying society. The paper looks at Japanese tax and social security systems through an ...
Designing Optimal Taxes with a Microeconometric Model of Household Labour Supply
Labour supply optimal taxation random utility model microsimulation.
2014/6/25
The purpose of this paper is to present an exercise where we identify optimal income tax rules under the constraint of fixed tax revenue. To this end, we estimate a microeconomic model with 78 paramet...
Designing Optimal Disability Insurance: A Case for Asset Testing
Disability Insurance: Asset Testing Optimal
2014/3/18
We analyze an implementation of an optimal disability insurance system as a competitive equilibrium with taxes. An optimum is implemented by an asset tested disability system in which a disability tra...
OPTIMAL TAXATION WITH ENDOGENOUS INSURANCE MARKETS
Optimal Dynamic Taxation Optimal Social Insurance Private and Public Insurance Crowding Out.
2014/3/18
The skills of agents in the labor market evolve stochastically over time and are private information. We assume that agents can engage in unobservable trades. We show that competitive equilibria are i...
Optimal Indirect and Capital Taxation。
Optimal Taxation According to Equality of Opportunity: A Microeconometric Simulation Analysis
Equality of opportunity equality of outcome labour supply optimal income taxation
2014/6/25
The purpose of this paper is to introduce and adopt a generalised version of Roemer's (1998) Equality of Opportunity (EOp) framework for analysing optimal income taxation. EOp optimal tax rules seek t...
ARE ALL SCALES OPTIMAL IN DEA? THEORY AND EMPIRICAL EVIDENCE
Optimal scale scale elasticity data envelopment analysis (DEA) frontier production functions duals
2014/6/25
Policy recommendations concerning optimal scale of production units often have serious implications for the restructuring of a sector, while tests of natural monopoly have important implications for r...